Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0925
Annualized Std Dev 0.2897
Annualized Sharpe (Rf=0%) 0.3193

Row

Daily Return Statistics

Close
Observations 4515.0000
NAs 1.0000
Minimum -0.1617
Quartile 1 -0.0079
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0093
Maximum 0.2277
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0183
Skewness 0.4935
Kurtosis 17.3736

Downside Risk

Close
Semi Deviation 0.0129
Gain Deviation 0.0136
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.6723
Historical VaR (95%) -0.0256
Historical ES (95%) -0.0424
Modified VaR (95%) -0.0205
Modified ES (95%) -0.0205
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2021-01-20 -0.6723 3327 267 3060
2006-05-10 2006-06-13 2006-12-04 -0.2624 145 24 121
2004-04-13 2004-05-17 2004-11-04 -0.2138 144 25 119
2007-07-24 2007-08-16 2007-09-21 -0.1773 43 18 25
2005-10-04 2005-10-20 2005-12-01 -0.1202 42 13 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA -0.4 1.2 1.1 0.2 0.7 2.6 -0.8 2.9 1.2 8.9
2004 -0.1 2.3 0.8 -2.1 -0.7 -1.2 -0.5 0.8 1.9 0.7 0.8 0.8 3.4
2005 0.9 0.3 0.6 2 1.2 0.4 1.6 1.4 -0.2 1.8 2.6 -0.1 13.2
2006 0 2.8 -0.2 0 2 0.1 -1.6 1.1 -0.8 -1 -0.4 -0.2 1.7
2007 1.2 -0.7 0 0.4 2.6 0.4 -0.4 2.6 3.1 -4 0.8 -1.2 4.8
2008 2 -4 3.8 1.1 0.3 -1.8 -0.7 -1.2 1.2 -0.9 -9.6 1.3 -8.6
2009 -0.7 -1.6 3.3 1.5 4.2 1.8 0.5 -1.9 -2.7 -4.7 2.9 0.3 2.5
2010 2.7 1.7 2.6 -1.2 -1.8 0.7 0.5 3.5 1.5 1.1 2.9 0.7 15.7
2011 2.4 -1 1.6 0.6 -1.8 1.2 -0.1 -0.5 -5 -2.4 -0.3 0.1 -5.4
2012 2.2 0.9 0.7 0.7 -2.7 4.4 0.2 1 1 1.6 -0.1 1.5 12
2013 0.7 0.2 -1.1 -1.1 -1.8 0.3 1.8 0.8 2 0 1 0.8 3.6
2014 0.2 -0.7 1.2 0.1 -1.4 0.9 0.5 -0.2 -2 0.4 -1.7 0.1 -2.5
2015 -2.7 -0.1 1.2 0.6 -0.4 -0.1 1.1 -3.9 0.5 0.2 0.8 -0.3 -3.1
2016 -0.9 3.6 -0.3 -0.4 -0.1 1 -0.2 0.8 0.4 -0.8 -1.2 -0.7 1
2017 0.1 1.6 -0.7 0.6 0.8 0.5 0.3 0.7 1.2 0.5 -0.6 0.5 5.5
2018 -1.4 -0.2 2.1 -0.5 1.4 1.5 -0.9 0.5 0 3.6 -0.1 -0.5 5.7
2019 -0.8 0.1 1.7 -0.8 0.3 1.2 -2 0.8 -0.7 1.5 -1.6 0.2 -0.1
2020 -2 -0.4 -4.3 -3.6 2.3 1.1 -0.7 1.7 0.9 -1.1 2 -0.1 -4.3
2021 2.7 2.7 1.2 NA NA NA NA NA NA NA NA NA 6.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-04-11  11.1 SPY    87.2 -0.0041   -0.0121   0.0392  -0.0635   -0.218   -0.416       NA <NA>     NA    NA       NA
2 2003-04-14  11.2 SPY    89.0  0.0207    0.0102   0.0573  -0.0439   -0.196   -0.409       NA <NA>     NA    NA       NA
3 2003-04-15  11.4 SPY    89.8  0.00930   0.018    0.0346  -0.038    -0.207   -0.407       NA <NA>     NA    NA       NA
4 2003-04-16  11.5 SPY    88.2 -0.017     0.014    0.011   -0.0449   -0.219   -0.415       NA <NA>     NA    NA       NA
5 2003-04-17  11.6 SPY    89.6  0.0148    0.0234   0.0182  -0.0267   -0.204   -0.404       NA <NA>     NA    NA       NA
6 2003-04-21  11.6 SPY    89.6  0.001     0.0287   0.017   -0.0111   -0.206   -0.387       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart